The Crash Risk in Individual Stocks Embedded in Skewness Swap Returns
利用偏度互换研究个股崩盘风险溢价，发现其回报持续为正且较大，表明投资者担忧个股崩盘并要求高补偿，且主要结果在2007/2009金融危机后显著。
Abstract This article investigates crash risk premiums in individual stocks using skewness swaps. These swaps involve buying a stock’s risk-neutral skewness and receiving the realized skewness as a payoff. The strategy’s returns, which measure the skewness risk premium, are found to be consistently large and positive. This suggests investors are concerned about potential crashes in individual stocks and require substantial compensation for bearing this risk. Notably, significant results are mainly observed after the 2007/2009 financial crisis, indicating changes in post-crisis option market dynamics. Cross-sectional determinants of skewness swap returns include measures of systematic crash risk and stock overvaluation.